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Thanks Grover, I tried this and it did not work. Great suggestion though.
See below for debug output:
I took the time to format the output for maximum clarity.
1. The first short on 1/23/09 4:00 pm is not within the range of the back test so no trade should take place, note the equity starts at 10,000.00
2. The second short is within range of the back test and should appear in the back test but it does not, note equity is now at POSITIVE 9,840.40
3. Continuing on you will see every long signal appears on the back test while none of the short signals appear until after equity again rises to the POSITIVE side, 2,477.90
At this point I am not sure the portfolio equity, in-loop, really has anything to do with this.
Larry, thanks for confirming you have tried to get this to work and failed as well. It certainly provided some comfort knowing I am not the only one failing to get this working.
Unless Tomasz or someone else has a way to get this to work I will probably report this as a bug on the Amibroker support site.
Thanks for all who take the time to try and unravel this one!
Pete :-)
************************************************************
ShortEntry:
1/23/2009 4:00:00 PM <<Not in Selected Range>>
ShortPrice = 825.25 Equity
in-loop: 10000
************************************************************
ShortEntry:
1/26/2009 7:30:00 AM <<Absent From Back Test>>
ShortPrice
= 824.5 Equity
in-loop: 9840.4
************************************************************
LongEntry:
1/26/2009 8:36:00 AM <<Present In Back Test>>
BuyPrice: 827 Equity
in-loop: 7465.4
************************************************************
ShortEntry:
1/26/2009 11:48:00 AM <<Absent From Back Test>>
ShortPrice = 839.75 Equity
in-loop: -4647.1
************************************************************
LongEntry:
1/26/2009 12:30:00 PM <<Present In Back Test>>
BuyPrice: 844.25 Equity
in-loop: -8922.1
************************************************************
ShortEntry:
1/26/2009 12:33:00 PM <<Absent From Back Test>>
ShortPrice = 840.5 Equity
in-loop: -5359.6
************************************************************
LongEntry:
1/26/2009 3:00:00 PM <<Present In Back Test>>
BuyPrice: 835.25 Equity
in-loop: -372.1
************************************************************
ShortEntry:
1/26/2009 3:42:00 PM <<Present In Back Test>>
ShortPrice = 832.25 Equity
in-loop: 2477.9
************************************************************
--- In amibroker@xxxxxxxxxxxxxxx, "Grover Yowell" <gyowell1@xxx> wrote:
>
> Larry,
>
> I recall from several years ago someone suggested that priceatshort should
> be initialized as a very large number such as 99999999 instead of zero as is
> in your code. I tried it at the time and it worked. You might try that.
>
> Grover
>
>
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
> Of onelkm
> Sent: Sunday, February 08, 2009 6:34 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Last Try, Scale out with short and long entry's
>
>
>
> Pete
> I have tried to do the same thing without success. I hope someone
> will suggest how this can be done.
> Larry
>
> --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com> ,
> "Pete" dryheat3@ wrote:
> >
> > Ok, here's the code that I built. As far as my understanding goes,
> this
> > code should work perfectly. Yet it does not. Load this into your AB
> and
> > before running the back test make sure you have debug app running to
> > capture the _Trace() output.
> >
> > Run this against an intraday chart of ES. I am assuming you already
> have
> > the tick size, point value and margin deposit cofigured in your
> > database. You can use a 3, 5 or 10 minute chart settings for the
> > backtest. Run the back test in Short only mode and set the report to
> > detailed log so you can see any scaling of trades. The scaling
> works,
> > this is NOT what I am trying to get working. The problem with this
> code
> > is it misses entry signals ONLY when including shorts. Longs work
> just
> > perfectly.
> >
> > Examining the debug output you will see the short signals are
> driving
> > portfolio equity into the negatives, even when the back tester may
> be
> > reporting a net profit. It's when the portfolio equity is driven
> into
> > the negatives that it cuases this system to miss several entry
> signals.
> >
> > You can scan the debug output for a point short entry where the
> > portfolio equity is negative, then go to the back tester output and
> see
> > if you can find that trade in the list. If the equity is negative
> there
> > is no entry in the back tester. If the equity is positive, then the
> > trade will be found in the back tester.
> >
> > Some of the statments in this code are a bit long so I'm not sure
> how
> > well it will copy/paste from the web into .afl. You may need to
> remove
> > some line wrapping after pasting into AB.
> >
> > I'm going to figure this out, or go mad trying. So your assistance
> may
> > prevent my early retirement to the funny farm. lol!
> >
> > SetTradeDelays(0,0,0,0);
> > BuyPrice = Close;
> > SellPrice = Close;
> > SetOption("FuturesMode", True);
> > SetOption("InitialEquity", 10000);
> > Buy = Cross(MA(C, 20), MA(C,50));
> >
> > Short = Cross(MA(C,50), MA(C,20));
> >
> > SystemExitLong = Cross(MA(C,18), C); // This value will be adjusted
> > according the system's exit rules
> > SystemExitShort = Cross(C, MA(C,18));
> >
> > StopAmt = 1.5; //number of points
> > ProfitTarget = 3;//number of points
> >
> >
> >
> > TickIncrement = Param("Tick Increment", 0.25, 0.1, 1, 0.1);//ES =
> 0.25,
> > NQ = 0.10, YM = 1
> > TickIncrement = TickIncrement * 1; //change this value according to
> the
> > expected slippage when stops are tiggered
> >
> > //set begining value of essential variables
> > TrailingStop = 0; // This value will be adjusted to
> FirstProfitTarget
> > only after SecondProfitTarget is hit
> > StopLoss = 0;
> > FirstProfitTarget = 0;
> > SecondProfitTarget = 0;
> > //set begining values for long variables
> > priceatbuy=0;
> > highsincebuy = 0;
> > Sell = 0;
> > TradeDate = DateTime();
> > //set begining values for short variables
> > priceatshort=0;
> > lowsincebuy = 0;
> > Cover = 0;
> >
> > //set exit to zero
> > exit = 0;
> > PortEq = Equity();
> >
> >
> > ////////////////////////////////////////////////////////////////////
> ////\
> > ///
> > //////////////Begin code to scale out of
> positions////////////////////
> > ////////////////////////////////////////////////////////////////////
> ////\
> > ///
> > for( i = 0; i < BarCount; i++ )
> > {
> > if( priceatbuy == 0 AND Buy[ i ] )
> > {
> > //initialize required variables
> > _TRACE("Long Entry = " + DateTimeToStr(TradeDate[i]) +" AND Buy
> Price =
> > " +BuyPrice[i] +" AND Equity in-loop: " +PortEq[i]);
> > priceatbuy = BuyPrice[ i ];
> > StopLoss = StopAmt[i];
> > FirstProfitTarget = StopAmt[i];
> > SecondProfitTarget = ProfitTarget[i];
> > }
> >
> > if( priceatshort == 0 AND Short[ i ] )
> > {
> > //initialize required variables
> > _TRACE("Short Entry = " + DateTimeToStr(TradeDate[i]) +" AND Short
> Price
> > = " +ShortPrice[i] +" AND Equity in-loop: " +PortEq[i]);
> > priceatshort = ShortPrice[ i ];
> > StopLoss = StopAmt[i];
> > FirstProfitTarget = StopAmt[i];
> > SecondProfitTarget = ProfitTarget[i];
> > }
> >
> > if( priceatbuy > 0 )
> > {
> > highsincebuy = Max( High[ i ], highsincebuy );
> >
> > //check if 1st target hit and long
> > if( exit == 0 AND
> > High[ i ] >= FirstProfitTarget + TickIncrement +
> priceatbuy )
> > {
> > // first profit target hit - scale-out
> > exit = 1;
> > Buy[ i ] = sigScaleOut;
> > BuyPrice[i] = FirstProfitTarget + priceatbuy;
> > }
> >
> > //check if 2nd target hit and long
> > if( exit == 1 AND
> > High[ i ] >= SecondProfitTarget + TickIncrement +
> priceatbuy
> > )
> > {
> > // second profit target hit - scale-out
> > exit = 2;
> > Buy[ i ] = sigScaleOut;
> > BuyPrice[i] = SecondProfitTarget + priceatbuy;
> > TrailingStop = FirstProfitTarget + priceatbuy; //after
> > hitting SecondProfitTarget, move
> >
> > //stop to FirstProfitTarget position
> > }
> >
> > //check if system exit hit and long
> > if( exit <= 2 AND
> > SystemExitLong [i]) //need to substitute system exit here
> > {
> > // System Exit hit - exit all remaining contracts
> > exit = 3;
> > SellPrice[i] = Close[i]; //all three contracts would
> exit
> > here
> > }
> >
> > //check if trailing stop hit and long
> > if( exit == 2 AND
> > Low[ i ] <= TrailingStop - TickIncrement )
> > {
> > // Trailing Stop target hit - exit trade with final
> contract
> > exit = 3;
> > SellPrice[ i ] = TrailingStop -
> TickIncrement ; //accounting
> > for one tick slippage
> > }
> >
> > //check if stop loss hit and long
> > if(Low[ i ] <= priceatbuy - StopLoss - TickIncrement )
> > {
> > // Stop Loss hit - exit
> > exit = 3;
> > SellPrice[ i ] = Min( Open[ i ], priceatbuy - StopLoss -
> > TickIncrement ); //assume one tick slippage
> > }
> >
> > //check if exit complete
> > if( exit >= 3 )
> > {
> > Buy[ i ] = 0;
> > Sell[ i ] = exit + 1; // mark appropriate exit code
> > exit = 0;
> > priceatbuy = 0; // reset price
> > highsincebuy = 0;
> > ThirdProfitTarget = 0;
> > TrailingStop = 0;
> >
> > }
> > }
> >
> > if( priceatshort > 0 )
> > {
> > lowsincebuy = Min( Low[ i ], lowsincebuy );
> > //check if 1st target hit and short
> > if( exit == 0 AND
> > Low[ i ] <= priceatshort - FirstProfitTarget -
> TickIncrement )
> > {
> > // first profit target hit - scale-out
> > exit = 1;
> > Short[ i ] = sigScaleOut;
> > ShortPrice[i] = priceatshort - FirstProfitTarget;
> > }
> > //check if 2nd target hit and short
> > if( exit == 1 AND
> > Low[ i ] <= priceatshort - SecondProfitTarget -
> TickIncrement
> > )
> > {
> > // second profit target hit - scale-out
> > exit = 2;
> > Short[ i ] = sigScaleOut;
> > ShortPrice[i] = priceatshort - SecondProfitTarget;
> > TrailingStop = priceatshort -
> FirstProfitTarget ; //after
> > hitting SecondProfitTarget, move
> >
> > //stop to FirstProfitTarget position
> > }
> > //check if system exit and short
> > if( exit <= 2 AND
> > SystemExitShort[i]) //need to substitute system exit here
> > {
> > // System Exit hit - exit all remaining contracts
> > exit = 3;
> > CoverPrice[i] = Close[i]; //all three contracts would
> exit
> > here
> > }
> > //check if trailing stop hit and short
> > if( exit == 2 AND
> > High[ i ] >= TrailingStop + TickIncrement )
> > {
> > // Trailing Stop target hit - exit trade with final
> contract
> > exit = 3;
> > CoverPrice[ i ] = TrailingStop + TickIncrement ;
> > }
> > //check if stop loss hit and short
> > if(High[ i ] >= priceatshort + StopLoss + TickIncrement )
> > {
> > // Stop Loss hit - exit
> > exit = 3;
> > CoverPrice[ i ] = Max( Open[ i ], priceatshort +
> StopLoss +
> > TickIncrement ); //assume one tick slippage
> > }
> > //check if exit complete
> > if( exit >= 3 )
> > {
> > Short[ i ] = 0;
> > Cover[ i ] = exit + 1; // mark appropriate exit code
> > exit = 0;
> > priceatshort = 0; // reset price
> > highsincebuy = 0;
> > ThirdProfitTarget = 0;
> > TrailingStop = 0;
> >
> > }
> > }
> >
> > }
> >
> > SetPositionSize(3,spsShares); //Trade 3 contracts on entry
> > SetPositionSize( 1, IIf( Short == sigScaleOut OR Buy == sigScaleOut,
> > spsShares, spsNoChange ) ); //scale out 1 contract at a time until
> > position closed
> > ////////////////////////////////////////////////////////////////////
> ////\
> > ///
> > //////////////End of code to scale out of
> positions////////////////////
> > ////////////////////////////////////////////////////////////////////
> ////\
> > ///
> >
>
__._,_.___
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*********************
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